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Overview

These reports shows the baseline and robustness results from the empirical exercise in the paper “Do local and foreign newspapers unveil the same economic policy uncertainty shocks?” by E. Andres-Escayola, C. Ghirelli, L. Molina, J.J. Perez, and E. Vidal. In particular, here we report the impulse response functions from the Bayesian VAR model. Please refer to the paper for specific details.

Prepared by E. Andres-Escayola

Table of contents

Baseline results

Press comparison
Local press
Foreign press
Joint press (source)
Joint press (mean)

Baseline results

Press comparison

IRFs to EPU shocks

Portfolio capital flows & GDP

(Percentage points)

Source: Own estimations.

Note: The first chart corresponds to the response of the financial variable and the second to the response of GDP. Both responses are with respect to a 1 STD shock of the EPU. We report the median response with the corresponding 84%-16% credible set for 15 periods.

Spread & GDP

(Percentage points)

Source: Own estimations.

Note: The first chart corresponds to the response of the financial variable and the second to the response of GDP. Both responses are with respect to a 1 STD shock of the EPU. We report the median response with the corresponding 84%-16% credible set for 15 periods.

Equity & GDP

(Percentage points)

Source: Own estimations.

Note: The first chart corresponds to the response of the financial variable and the second to the response of GDP. Both responses are with respect to a 1 STD shock of the EPU. We report the median response with the corresponding 84%-16% credible set for 15 periods.

Local press

IRFs to EPU shocks

Portfolio capital flows & GDP

(Percentage points)

Source: Own estimations.

Note: The first chart corresponds to the response of the financial variable and the second to the response of GDP. Both responses are with respect to a 1 STD shock of the EPU. We report the median response with the corresponding 84%-16% credible sets for 15 periods.

Spread & GDP

(Percentage points)

Source: Own estimations.

Note: The first chart corresponds to the response of the financial variable and the second to the response of GDP. Both responses are with respect to a 1 STD shock of the EPU. We report the median response with the corresponding 84%-16% credible sets for 15 periods.

Equity & GDP

(Percentage points)

Source: Own estimations.

Note: The first chart corresponds to the response of the financial variable and the second to the response of GDP. Both responses are with respect to a 1 STD shock of the EPU. We report the median response with the corresponding 84%-16% credible sets for 15 periods.

Foreign press

IRFs to EPU shocks

Portfolio capital flows & GDP

(Percentage points)

Source: Own estimations.

Note: The first chart corresponds to the response of the financial variable and the second to the response of GDP. Both responses are with respect to a 1 STD shock of the EPU. We report the median response with the corresponding 84%-16% credible sets for 15 periods.

Spread & GDP

(Percentage points)

Source: Own estimations.

Note: The first chart corresponds to the response of the financial variable and the second to the response of GDP. Both responses are with respect to a 1 STD shock of the EPU. We report the median response with the corresponding 84%-16% credible sets for 15 periods.

Equity & GDP

(Percentage points)

Source: Own estimations.

Note: The first chart corresponds to the response of the financial variable and the second to the response of GDP. Both responses are with respect to a 1 STD shock of the EPU. We report the median response with the corresponding 84%-16% credible sets for 15 periods.

Joint press (source)

IRFs to EPU shocks

Portfolio capital flows & GDP

(Percentage points)

Source: Own estimations.

Note: The first chart corresponds to the response of the financial variable and the second to the response of GDP. Both responses are with respect to a 1 STD shock of the EPU. We report the median response with the corresponding 84%-16% credible sets for 15 periods.

Spread & GDP

(Percentage points)

Source: Own estimations.

Note: The first chart corresponds to the response of the financial variable and the second to the response of GDP. Both responses are with respect to a 1 STD shock of the EPU. We report the median response with the corresponding 84%-16% credible sets for 15 periods.

Equity & GDP

(Percentage points)

Source: Own estimations.

Note: The first chart corresponds to the response of the financial variable and the second to the response of GDP. Both responses are with respect to a 1 STD shock of the EPU. We report the median response with the corresponding 84%-16% credible sets for 15 periods.

Joint press (mean)

IRFs to EPU shocks

Portfolio capital flows & GDP

(Percentage points)

Source: Own estimations.

Note: The first chart corresponds to the response of the financial variable and the second to the response of GDP. Both responses are with respect to a 1 STD shock of the EPU. We report the median response with the corresponding 84%-16% credible sets for 15 periods.

Spread & GDP

(Percentage points)

Source: Own estimations.

Note: The first chart corresponds to the response of the financial variable and the second to the response of GDP. Both responses are with respect to a 1 STD shock of the EPU. We report the median response with the corresponding 84%-16% credible sets for 15 periods.

Equity & GDP

(Percentage points)

Source: Own estimations.

Note: The first chart corresponds to the response of the financial variable and the second to the response of GDP. Both responses are with respect to a 1 STD shock of the EPU. We report the median response with the corresponding 84%-16% credible sets for 15 periods.